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Hello,
There were examples posted in the past. You don't need custom
backtester to do for example
VanTharp-style risk management (placing stops at multiple of
ATR() and allocating certain percentage of equity in given trade at the time of
the entry).
For more complex schemes like scaling out position if risk
increases during the trade and scaling in positions when risk
decreases during the trade you indeed need custom
backtester.
As to the code that you have used, it is easy to modify it to
work with multiple symbols.
You need to use dynamic variable names for everything. You
were going good path but you need to use dynamic variables
for remaining variables such as RiskPerContract,
DiffToMaxRisk
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Thursday, July 12, 2007 10:14
AM
Subject: Re: [amibroker] Re: How to
implement a simple risk management ? Tomasz please read it
Hello Graham,
yes i know and i have printed out and read everything that you mentioned
already multiple times.
Unfortunately none of the examples are similar to a risk management. The
only example which could be useful to implement a risk management was the
rebalance example which i used as my template.
I assume the main difference to my code is that the rebalance example
doesn't need information from previous bar open trades. I don't know why,
but it seems that the PositionValue that he uses already returns previous bar
position value, so he doesn't need to retrieve information from open trades at
previous bar.
If you take a look at my previous post, about 1-2 days ago i have already
implemented everything and through Trace View i can see the correct risk at
every bar at every open trade and when the risk is to high it scales out at
the next bar. Works fine so far at a single symbol, but now the key problem
seems to be anywhere to retrieve the correct values from previous bar open
trades. I have used dynamic variables with the symbol name. Maybe you can take
a look at my code, i can't figure out the reason myself.
Anyway i am still surprised that no one else seems to have such a simple
risk management already implemented.
Without it the trade risk could rise and rise, also with a trailing stop
and before you realize it you could already risk much more % of equity in real
life than you have expected in the backtest, because without custom coding
(Trace view) the backtester doesn't show the current open risk. It also
doesn't show the portfolio risk.
So a nice backtest could end with a system that can't be traded in real
life, because no one feels comfortable if the open risk is to high and even
higher than expected in the backtest.
Another example would be that the equity drops down, so the risk
increases also and we should scale out contracts. Without any risk management
we can't see such situations in the backtester. So our current risk could
maybe already be 90% of equity and we can't realize it in the backtest. Most
probably this is the time when people are saying that backtests are useless,
but this shouldn't be our goal. So i appreciate every help !
Regards
function FindValueAtDateTime( input, dt, Value )
{
found = - 1;
for( i =
0; i <
BarCount AND found == -
1; i++ )
{
if( dt[ i
] == Value ) found = i;
}
return
IIf( found !=
-1, input[ found ],
Null );
}
if ( Status("action") == actionPortfolio )
{
AddRMultipleColumn = StaticVarGet("AddRMultipleColumn");
bo = GetBacktesterObject();
bo.PreProcess();
dt = DateTime();
MaxTradeRisk = StaticVarGet("MaxRiskPerTrade");
MaxTradeRiskPercent = MaxTradeRisk * 0.01;
Slippage = StaticVarGet("Slippage");
UseTraceView = StaticVarGet("UseTraceView");
UseRiskManagement = StaticVarGet("UseRiskManagement");
EquityArray = 0;
CurrentContracts = 0;
EquityAtEntry = 0;
CurEquity = 0;
RiskAtCloseCash = 0;
RiskAtClosePercent = 0;
DiffToMaxRisk = 0;
RiskPerContract = 0;
ScaleAmountInContracts = 0;
ScaleAmountCashWithMargin = 0;
for(bar =
0; bar <
BarCount; bar++)
{
bo.ProcessTradeSignals( bar );
CurEquity[bar] = bo.Equity;
if(UseRiskManagement)
{
// iterate through open
trades
for( trade
= bo.GetFirstopenPos(); trade; trade = bo.GetNextopenPos() )
{
// Store entry values in dynamic
variables
if(trade.BarsInTrade == 1)
{
VarSet("ContractsAtEntry" + trade.Symbol, trade.Shares);
VarSet("FxRateAtEntry"
+ trade.Symbol, trade.EntryFxRate);
}
// Get values from entry
bar
EquityAtEntry = FindValueAtDateTime( EquityArray , dt, trade.EntryDateTime
);
ContractsAtEntry = VarGet("ContractsAtEntry" + trade.Symbol);
FxRateAtEntry = VarGet("FxRateAtEntry"
+ trade.Symbol);
// Store current values in dynamic
variables
VarSet("CurrentContracts" + trade.Symbol, trade.Shares);
// Get current values from dynamic
variables
CurrentContracts = VarGet("CurrentContracts" + trade.Symbol);
if(bar
> 0)
{
if(
DiffToMaxRisk[bar-1]
> 0 )
CurrentContracts = CurrentContracts -
ScaleAmountInContracts[bar- 1];
else
CurrentContracts = CurrentContracts[bar- 1];
}
if(trade.IsLong)
{
// Get values from phase 1 ->
composite indicators
RiskAtClose = Foreign("~AddValues_2" +
trade.Symbol, "Open");
ScalePrice = trade.GetPrice( bar, "O" ) - Slippage ;
}
else
{
RiskAtClose = Foreign("~AddValues_2" +
trade.Symbol, "High");
ScalePrice = trade.GetPrice( bar, "O" ) + Slippage ;
}
// Calculate current trade risk
RiskAtCloseCash[bar] = RiskAtClose[bar] * CurrentContracts[bar] *
trade.PointValue * FxRateAtEntry;
RiskAtClosePercent[bar] = RiskAtCloseCash[bar] / ( 0.01 * CurEquity[bar]);
DiffToMaxRisk[bar] = RiskAtCloseCash[bar] - MaxTradeRiskPercent *
CurEquity[bar];
RiskPerContract[bar] = RiskAtClose[bar] * trade.PointValue * FxRateAtEntry;
ScaleAmountInContracts[bar] = DiffToMaxRisk[bar] /
RiskPerContract[bar];
RoundValue = 1 /
trade.RoundLotSize;
ScaleAmountInContracts[bar] = round(ScaleAmountInContracts[bar] * RoundValue) /
RoundValue;
ScaleAmountCashWithMargin[bar] = ScaleAmountInContracts[bar] *
trade.MarginDeposit * FxRateAtEntry + 0.01;//0.01
necessary (rounding)
if(UseTraceView)
{
_TRACE("bar " + bar +
", " + DateTimeToStr(dt[bar]) + ", Bars In Trade = " +
trade.BarsInTrade + ", Symbol " + trade.Symbol );
_TRACE("bar " + bar +
", " + DateTimeToStr(dt[bar]) + ", Contracts @ Entry = " +
ContractsAtEntry + ", Current " + CurrentContracts[bar] );
// _TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", EquityAtEntry =
" + EquityAtEntry + ", Current Equity = " + bo.Equity);
_TRACE("bar " + bar +
", " + DateTimeToStr(dt[bar]) + ", MaxTradeRisk = " +
MaxTradeRiskPercent * bo.Equity + "€"+ ", " + MaxTradeRisk[bar] + "%" + ", DiffToMaxRisk = " + DiffToMaxRisk[bar] +
" € " );
// _TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ",
trade.GetEntryValue() = " + trade.GetEntryValue() +" € ");
// _TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ",
trade.GetPositionValue() = " + trade.GetPositionValue() +" €
\n\n");
// _TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", Risk = " +
RiskAtClose[bar] +" Ticks, " + RiskAtCloseCash[bar] +" €, " +
RiskAtClosePercent[bar] +" % ");
_TRACE("bar " + bar +
", " + DateTimeToStr(dt[bar]) + ", Current Risk = " +
RiskAtCloseCash[bar] + "
€, " + RiskAtClosePercent[bar] +" % ");
// _TRACE("bar " + bar + ", " + DateTimeToStr(dt[bar]) + ", FxRate @ Entry
= " + FxRateAtEntry );
}
if(bar
>= 0 AND
DiffToMaxRisk[bar] > 0 AND UseTraceView)
_TRACE("bar " + bar +
", " + DateTimeToStr(dt[bar]) + ", Scale Out, Amount = " +
DiffToMaxRisk[bar] + " €,
Contracts = " + ScaleAmountInContracts[bar] );
if(bar
> 0 AND
DiffToMaxRisk[bar-1 ]
> 0 )
{
bo.ScaleTrade( bar, trade.Symbol, False, ScalePrice,
ScaleAmountCashWithMargin[bar- 1], trade.MarginDeposit );
if(UseTraceView)
_TRACE("bar " + bar +
", " + DateTimeToStr(dt[bar]) + ", " +
ScaleAmountInContracts[bar- 1] + " Contracts scaled out
");
}
if(UseTraceView)
_TRACE("\n");
}
}
}
2007/7/12, Graham <kavemanperth@xxxxxxxxx>:
You would need to do the risk management within the custom
backtest
coding. There is no other way to base values on portfolio
equity
There are examples available (see Ab knowledge base etc) in this
and a
guide written by a member of this group for advanced backtest code
available I think in the files section of yahoo group?
--
Cheers
Graham
AB-Write >< Professional AFL Writing
Service
Yes, I write AFL code to your requirements
http://www.aflwriting.com
On 12/07/07, Trinolix
Derry <trinolix@xxxxxxxxx>
wrote:
> Hello,
>
> i have got no reply so i am wondering
how you manage the trade risk ?
>
> The real risk always depends
on current contracts, current equity and
> stop distance, therefore
there is no easy way just as placing any
> trailing
stop.
>
> Can't anyone help ?
>
>
>
>
2007/7/11, Trinolix Derry <
trinolix@xxxxxxxxx>:
> > Hello,
> >
> >
Can someone please tell me how to implement a simple risk management
>
> for futures ?
> >
> > Compared to the AmiBroker
Rebalance example which is position size
> > based, i want to use
the risk amount to make rebalancing or simple
> > scale
out's.
> > Basically whenever current trade risk is > 4% of
current equity it
> > should scale out to get the risk below 4%.
> >
> > I wasn't able to write the code successfully, see
one of my previous posts.
> > However a risk management is so
important and really everyone who
> > want's to develope a serious
trading system need it. So i assume that
> > anyone found the
solution.
> > Otherwise Tomasz: Can you please provide a example to
the KB site ?
> >
> >
> > Risk management is one
of the keys to success.
> > I really appreciate every help !
> >
> > --
> > Regards
>
>
>
>
--
Regards
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